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<p><span style="font-size: 32px; font-weight: bold;">目录</span></p>
<div class="code-chunk" data-id="code-chunk-id-0" data-cmd="toc"><div class="input-div"><div class="code-chunk-btn-group"><div class="run-btn btn btn-xs btn-primary"><span>▶︎</span></div><div class="run-all-btn btn btn-xs btn-primary">all</div></div><div class="status">running...</div></div><div class="output-div"></div></div><ul>
<li><a href="#1-%E5%8D%95%E5%9D%87%E7%BA%BF%E7%AD%96%E7%95%A5%E5%9B%9E%E6%B5%8B%E8%BF%87%E7%A8%8B">1、单均线策略回测过程</a>
<ul>
<li><a href="#11-%E7%BC%96%E5%86%99%E7%AD%96%E7%95%A5">1.1、编写策略</a></li>
<li><a href="#12-%E5%AF%BC%E5%85%A5%E7%AD%96%E7%95%A5">1.2、导入策略</a></li>
<li><a href="#12-%E5%88%B6%E4%BD%9C%E5%B7%A5%E4%BD%9C%E5%8C%BA">1.2、制作工作区</a></li>
<li><a href="#13-%E5%9C%A8%E8%BD%AF%E4%BB%B6%E4%B8%AD%E6%89%93%E5%BC%80%E5%BB%BA%E7%AB%8B%E7%9A%84%E5%B7%A5%E4%BD%9C%E5%8C%BA%E5%B9%B6%E5%88%9D%E5%A7%8B%E5%8C%96">1.3、在软件中打开建立的工作区并初始化</a></li>
</ul>
</li>
<li><a href="#2-%E5%9B%9E%E6%B5%8B%E6%8A%A5%E5%91%8A%E6%9F%A5%E7%9C%8B%E4%B8%8E%E8%AF%B4%E6%98%8E">2、回测报告查看与说明</a>
<ul>
<li><a href="#21-%E6%89%93%E5%BC%80%E5%9B%9E%E6%B5%8B%E6%8A%A5%E5%91%8A">2.1、打开回测报告</a></li>
<li><a href="#22-%E5%9B%9E%E6%B5%8B%E6%8A%A5%E5%91%8A%E8%AF%B4%E6%98%8E">2.2、回测报告说明</a></li>
<li><a href="#22-%E5%8D%95%E4%B8%AA%E5%90%88%E7%BA%A6%E4%B8%8E%E6%B1%87%E6%80%BB%E7%B4%AF%E8%AE%A1%E5%88%A9%E6%B6%A6%E6%9B%B2%E7%BA%BF">2.2、单个合约与汇总累计利润曲线</a></li>
<li><a href="#23-%E9%98%B6%E6%AE%B5%E6%80%BB%E7%BB%93%E4%B8%8E%E4%BA%A4%E6%98%93%E8%AE%B0%E5%BD%95">2.3、阶段总结与交易记录</a></li>
<li><a href="#24-%E5%9B%9E%E6%B5%8B%E6%8A%A5%E8%A1%A8%E5%AF%BC%E5%87%BA%E4%B8%8E%E5%AF%BC%E5%85%A5">2.4、回测报表导出与导入</a></li>
</ul>
</li>
<li><a href="#3-%E5%9C%A8k%E7%BA%BF%E5%9B%BE%E4%B8%8A%E6%9F%A5%E7%9C%8B%E4%BA%A4%E6%98%93%E4%BF%A1%E5%8F%B7">3、在k线图上查看交易信号</a>
<ul>
<li><a href="#31-k%E7%BA%BF%E5%9B%BE%E4%BA%A4%E6%98%93%E4%BF%A1%E5%8F%B7%E5%85%A5%E5%8F%A3">3.1、K线图交易信号入口</a></li>
<li><a href="#32-%E5%90%84%E7%A7%8D%E4%BF%A1%E5%8F%B7%E5%9B%BE%E6%A0%87%E5%90%AB%E4%B9%89">3.2、各种信号图标含义</a></li>
<li><a href="#33-%E9%99%84%E5%9B%BE%E4%B8%BB%E5%9B%BE%E6%8C%87%E6%A0%87%E6%98%BE%E7%A4%BA%E6%8C%87%E5%AE%9A">3.3、附图主图指标显示指定</a></li>
</ul>
</li>
</ul>
<hr>
<p><a href="https://www.feijix.com/s/lT2y2qq" target="_blank" style="font-size:16px;color:red;">小飞机网盘(大文件需付费8元/月) 所有期货数据下载</a><br>
<a href="https://pan.baidu.com/s/1s_oyXcpHeohkqCHOTKl7Ww?pwd=7fhq" target="_blank" style="font-size:16px;color:red;">百度云盘(不是会员速度超慢) 所有期货数据下载</a></p>
<p><a href="https://www.bilibili.com/video/BV1fN4y1o7A8/" target="_blank" style="font-size:16px;">视频教程</a></p>
<hr>
<h2 id="1-单均线策略回测过程">1、单均线策略回测过程 </h2>
<h3 id="11-编写策略">1.1、编写策略 </h3>
<pre data-role="codeBlock" data-info="python" class="language-python python"><code><span class="token keyword keyword-from">from</span> copy <span class="token keyword keyword-import">import</span> deepcopy
<span class="token keyword keyword-from">from</span> tool<span class="token punctuation">.</span>kxianhuizhi2 <span class="token keyword keyword-import">import</span> open_kxiantu<span class="token punctuation">,</span> load_data
<span class="token keyword keyword-from">from</span> tool<span class="token punctuation">.</span>gongju <span class="token keyword keyword-import">import</span> <span class="token operator">*</span>
<span class="token keyword keyword-from">from</span> tool<span class="token punctuation">.</span>zhibiao <span class="token keyword keyword-import">import</span> ma_z<span class="token punctuation">,</span> ema_z<span class="token punctuation">,</span> atr_z

<span class="token keyword keyword-def">def</span> 单均线策略_v1<span class="token punctuation">(</span>cl<span class="token punctuation">)</span><span class="token punctuation">:</span>
    <span class="token triple-quoted-string string">"""
    此策略为单均线策略
    """</span>
    <span class="token comment"># 数据提取区</span>
    Open <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span><span class="token builtin">open</span><span class="token punctuation">.</span>values  <span class="token comment"># 开盘价np列表</span>
    Close <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span>close<span class="token punctuation">.</span>values  <span class="token comment"># 收盘价np列表，Close[-1]这样为最新价</span>
    Datetime <span class="token operator">=</span> cl<span class="token punctuation">.</span>klines<span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span><span class="token punctuation">.</span>datetime<span class="token punctuation">.</span>values  <span class="token comment"># 日期时间np列表，为时间戳</span>
    canshu <span class="token operator">=</span> <span class="token punctuation">[</span>cl<span class="token punctuation">.</span>jiaoyiqidong<span class="token punctuation">,</span> cl<span class="token punctuation">.</span>zhanghu<span class="token punctuation">,</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">,</span> cl<span class="token punctuation">.</span>openingdata<span class="token punctuation">,</span> Datetime<span class="token punctuation">]</span>  <span class="token comment"># 传递给交易函数用于交易</span>
    理论持仓 <span class="token operator">=</span> cl<span class="token punctuation">.</span>openingdata<span class="token punctuation">[</span><span class="token string">'kaicangshuliang'</span><span class="token punctuation">]</span> <span class="token operator">*</span> cl<span class="token punctuation">.</span>openingdata<span class="token punctuation">[</span><span class="token string">'kaicangzhuangtai'</span><span class="token punctuation">]</span>
    开仓价格 <span class="token operator">=</span> cl<span class="token punctuation">.</span>openingdata<span class="token punctuation">[</span><span class="token string">'kaicangjia'</span><span class="token punctuation">]</span>  <span class="token comment"># 开仓价格</span>
    <span class="token comment"># 参数设置区</span>
    开仓手数 <span class="token operator">=</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">[</span><span class="token number">5</span><span class="token punctuation">]</span><span class="token punctuation">[</span><span class="token number">0</span><span class="token punctuation">]</span>  <span class="token comment"># 开仓数量</span>
    均线周期 <span class="token operator">=</span> cl<span class="token punctuation">.</span>jiaoyishezhi<span class="token punctuation">[</span><span class="token number">5</span><span class="token punctuation">]</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span>  <span class="token comment"># ma1周期</span>
    <span class="token comment"># 指标计算区</span>
    ma1 <span class="token operator">=</span> ema_z<span class="token punctuation">(</span>Close<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">300</span><span class="token punctuation">:</span><span class="token punctuation">]</span><span class="token punctuation">,</span> 均线周期<span class="token punctuation">)</span>
    <span class="token comment"># 交易逻辑执行区</span>
    <span class="token keyword keyword-if">if</span> 理论持仓 <span class="token operator">&lt;=</span> <span class="token number">0</span> <span class="token keyword keyword-and">and</span> Open<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span> <span class="token operator">&gt;</span> ma1<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span> <span class="token keyword keyword-and">and</span> Close<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span> <span class="token operator">&gt;</span> ma1<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span><span class="token punctuation">:</span>  <span class="token comment"># 开盘价和收盘价都要大于均线</span>
        Buy<span class="token punctuation">(</span>开仓手数<span class="token punctuation">,</span> Open<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">1</span><span class="token punctuation">]</span><span class="token punctuation">,</span> canshu<span class="token punctuation">)</span>  <span class="token comment"># 平空开多</span>
    <span class="token keyword keyword-else">else</span><span class="token punctuation">:</span>
        <span class="token keyword keyword-if">if</span> 理论持仓 <span class="token operator">&gt;=</span> <span class="token number">0</span> <span class="token keyword keyword-and">and</span> Open<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span> <span class="token operator">&lt;</span> ma1<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span> <span class="token keyword keyword-and">and</span> Close<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span> <span class="token operator">&lt;</span> ma1<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span><span class="token punctuation">:</span>  <span class="token comment"># 开盘价和收盘价都要小于均线</span>
            SellShort<span class="token punctuation">(</span>开仓手数<span class="token punctuation">,</span> Open<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">1</span><span class="token punctuation">]</span><span class="token punctuation">,</span> canshu<span class="token punctuation">)</span>  <span class="token comment"># 平多开空</span>

    <span class="token keyword keyword-return">return</span> <span class="token builtin">round</span><span class="token punctuation">(</span>ma1<span class="token punctuation">[</span><span class="token operator">-</span><span class="token number">2</span><span class="token punctuation">]</span><span class="token punctuation">,</span> <span class="token number">2</span><span class="token punctuation">)</span><span class="token punctuation">,</span> <span class="token string">'w'</span><span class="token punctuation">,</span> 开仓价格<span class="token punctuation">,</span> 理论持仓  <span class="token comment"># 此处输出的指标会在k线图中和监控界面中显示</span>

</code></pre><hr>
<h3 id="12-导入策略">1.2、导入策略 </h3>
<p>上面编写策略的文件名为demo</p>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%AF%BC%E5%85%A5%E7%AD%96%E7%95%A5.png" alt="在这里插入图片描述"></p>
<hr>
<h3 id="12-制作工作区">1.2、制作工作区 </h3>
<p>在软件目录随便复杂一个已有工作区，作为新工作区。</p>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%A4%8D%E5%88%B6%E5%88%9B%E5%BB%BA%E6%96%B0%E5%B7%A5%E4%BD%9C%E5%8C%BA.png" alt="在这里插入图片描述"></p>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%B7%A5%E4%BD%9C%E5%8C%BA%E5%BB%BA%E7%AB%8B.png" alt="在这里插入图片描述"></p>
<p><a href="../%E5%8A%9F%E8%83%BD%E5%AD%97%E6%AE%B5%E8%AE%BE%E7%BD%AE%E8%AF%B4%E6%98%8E.html">回测模式详见《功能字段设置说明》</a></p>
<p><a href="../%E9%99%84%E4%BB%B6/%E6%89%80%E6%9C%89%E5%90%88%E7%BA%A6%E4%BB%A3%E7%A0%81%E5%92%8C%E4%BA%A4%E6%98%93%E6%97%B6%E9%97%B4%E7%AD%89%E6%9F%A5%E8%AF%A2.htm">加载的数据详见附件《所有合约代码和交易时间等查询》</a></p>
<hr>
<h3 id="13-在软件中打开建立的工作区并初始化">1.3、在软件中打开建立的工作区并初始化 </h3>
<p><em><strong>1.3.1、打开工作区</strong></em><br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E6%89%93%E5%BC%80%E5%B7%A5%E4%BD%9C%E5%8C%BA%E6%96%B9%E6%B3%95.png" alt="在这里插入图片描述"></p>
<p><em><strong>1.3.2、设置回测参数</strong></em><br>
<em><strong>注意：回测数据加载一次后会缓存到\data\huancundata目录，第二次加载会重此目录加载，如想重新加载新数据点击 设置-设置-保存 后重新运行策略会重新加载数据。</strong></em><br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%9B%9E%E6%B5%8B%E5%8F%82%E6%95%B0%E8%AE%BE%E7%BD%AE.png" alt="在这里插入图片描述"></p>
<p><em><strong>1.3.3、运行初始化</strong></em><br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E8%BF%90%E8%A1%8C%E5%88%9D%E5%A7%8B%E5%8C%96.png" alt="在这里插入图片描述"></p>
<p><em><strong>1.3.4、单行个品种回测(单行回测)，速度快，策略调试效率高</strong></em><br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%8D%95%E8%A1%8C%E7%AD%96%E7%95%A5%E5%9B%9E%E6%B5%8B%E5%85%A5%E5%8F%A3.png" alt="在这里插入图片描述"></p>
<p><em><strong>注意：策略数据较多的话，会不比较慢，请耐心等待下。</strong></em></p>
<hr>
<p><em><strong>1.3.5、数据缓存目录，用于缓存当天回测用k线数据，省去k线数据加载时间。</strong></em><br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E7%AD%96%E7%95%A5%E6%95%B0%E6%8D%AE%E7%BC%93%E5%AD%98%E7%9B%AE%E5%BD%95.png" alt="在这里插入图片描述"></p>
<hr>
<h2 id="2-回测报告查看与说明">2、回测报告查看与说明 </h2>
<h3 id="21-打开回测报告">2.1、打开回测报告 </h3>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%9B%9E%E6%B5%8B%E6%8A%A5%E5%91%8A%E5%85%A5%E5%8F%A3.png" alt="在这里插入图片描述"></p>
<hr>
<h3 id="22-回测报告说明">2.2、回测报告说明 </h3>
<p>2.2.1、说明：主要看净利润、盈亏比、平均利润和胜率等，夏普与收益回测比按交易次数计算，不是太准确。</p>
<p>2.2.2、点击表头可进行指标排序，从而进行合约筛选</p>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%9B%9E%E6%B5%8B%E6%8A%A5%E5%91%8A%E6%B1%87%E6%80%BB.png" alt="在这里插入图片描述"></p>
<hr>
<h3 id="22-单个合约与汇总累计利润曲线">2.2、单个合约与汇总累计利润曲线 </h3>
<p><em><strong>说明：双击单个合约行或汇总行可进入累计利润曲线界面。</strong></em></p>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%9B%9E%E6%B5%8B%E7%B4%AF%E8%AE%A1%E5%88%A9%E6%B6%A6.png" alt="在这里插入图片描述"></p>
<hr>
<h3 id="23-阶段总结与交易记录">2.3、阶段总结与交易记录 </h3>
<p>阶段总结<br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%9B%9E%E6%B5%8B%E9%98%B6%E6%AE%B5%E6%80%BB%E7%BB%93.png" alt="在这里插入图片描述"></p>
<p>交易记录<br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%9B%9E%E6%B5%8B%E4%BA%A4%E6%98%93%E8%AE%B0%E5%BD%95.png" alt="在这里插入图片描述"></p>
<hr>
<h3 id="24-回测报表导出与导入">2.4、回测报表导出与导入 </h3>
<p>进入回测报告系统，准备导入策略：<br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E8%BF%9B%E5%85%A5%E7%AD%96%E7%95%A5%E6%8A%A5%E8%A1%A8%E5%AF%BC%E5%85%A5%E7%95%8C%E9%9D%A2.png" alt="在这里插入图片描述"></p>
<p>回测报告右键菜单：<br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E5%9B%9E%E6%B5%8B%E6%8A%A5%E5%91%8A%E5%AF%BC%E5%85%A5%E5%AF%BC%E5%87%BA%E8%8F%9C%E5%8D%95.png" alt="在这里插入图片描述"></p>
<p>导入策略及根据净利润筛选策略：<br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E7%AD%96%E7%95%A5%E5%9B%9E%E6%B5%8B%E6%8A%A5%E8%A1%A8%E5%AF%BC%E5%85%A5.png" alt="在这里插入图片描述"></p>
<hr>
<h2 id="3-在k线图上查看交易信号">3、在k线图上查看交易信号 </h2>
<h3 id="31-k线图交易信号入口">3.1、K线图交易信号入口 </h3>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/k%E7%BA%BF%E5%9B%BE%E5%85%A5%E5%8F%A3.png" alt="在这里插入图片描述"></p>
<hr>
<h3 id="32-各种信号图标含义">3.2、各种信号图标含义 </h3>
<p><a href="k%E7%BA%BF%E4%B8%8E%E7%A0%96%E5%BD%A2%E5%9B%BE%E6%95%B0%E6%8D%AE%E5%8F%AF%E8%A7%86%E5%8C%96.html">k线与砖形图可视化系统详细用法见《k线与砖形图数据可视化》</a></p>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/k%E7%BA%BF%E5%9B%BE%E4%B8%AD%E4%BF%A1%E5%8F%B7%E5%9B%BE%E6%A0%87%E5%90%AB%E4%B9%89.png" alt="在这里插入图片描述"><br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/k%E7%BA%BF%E5%9B%BE%E4%B8%AD%E7%9A%84%E5%8F%8D%E6%89%8B%E4%BF%A1%E5%8F%B7.png" alt="在这里插入图片描述"></p>
<hr>
<h3 id="33-附图主图指标显示指定">3.3、附图主图指标显示指定 </h3>
<p><img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E9%99%84%E5%9B%BE%E6%8C%87%E6%A0%87%E6%98%BE%E7%A4%BA%E6%8C%87%E5%AE%9A.png" alt="在这里插入图片描述"><br>
<img src="../img/%E5%9B%9E%E6%B5%8B%E7%B3%BB%E7%BB%9F/%E6%8C%87%E6%A0%87%E8%BE%93%E5%87%BA%E4%B8%8E%E6%98%BE%E7%A4%BA.png" alt="在这里插入图片描述"></p>

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